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Daniel R. Smith

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This is information that was supplied by Daniel Smith in registering through RePEc. If you are Daniel R. Smith , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Daniel
Middle Name: R.
Last Name: Smith
Suffix:

RePEc Short-ID: psm72

Email:
Homepage: http://www.sfu.ca/~drsmith
Postal Address:
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Affiliation

(in no particular order)

Works

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Working papers

  1. Adam E Clements & Christopher A Coleman-Fenn & Daniel R Smith, 2011. "Forecasting Equicorrelation," NCER Working Paper Series 72, National Centre for Econometric Research, revised 29 Aug 2011.
  2. Amir Rubin & Daniel Smith, 2010. "Comparing Different Explanations of the Volatility Trend," NCER Working Paper Series 68, National Centre for Econometric Research.
  3. Wagner Piazza Gaglianone & Luiz Renato Lima & Oliver Linton & Daniel Smith, 2009. "Evaluating Value-at-Risk models via Quantile Regression," Economics Working Papers we094625, Universidad Carlos III, Departamento de Economía.
  4. Allan Layton & Daniel R. Smith, 2005. "Testing the Power of Leading Indicators to Predict Business Cycle Phase Changes," School of Economics and Finance Discussion Papers and Working Papers Series 200, School of Economics and Finance, Queensland University of Technology.
  5. Daniel R. Smith & Christophe Parignon, 2004. "Modeling Yield-Factor Volatility," Econometric Society 2004 Australasian Meetings 307, Econometric Society.
  6. Allan P. Layton & Daniel R. Smith, 2003. "Duration Dependence In The Us Business Cycle," School of Economics and Finance Discussion Papers and Working Papers Series 152, School of Economics and Finance, Queensland University of Technology.
    RePEc:ner:carlos:info:hdl:10016/4883 is not listed on IDEAS

Articles

  1. Gaglianone, Wagner Piazza & Lima, Luiz Renato & Linton, Oliver & Smith, Daniel R., 2011. "Evaluating Value-at-Risk Models via Quantile Regression," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(1), pages 150-160.
  2. Rubin, Amir & Smith, Daniel R., 2011. "Comparing different explanations of the volatility trend," Journal of Banking & Finance, Elsevier, vol. 35(6), pages 1581-1597, June.
  3. Pérignon, Christophe & Smith, Daniel R., 2010. "The level and quality of Value-at-Risk disclosure by commercial banks," Journal of Banking & Finance, Elsevier, vol. 34(2), pages 362-377, February.
  4. Pérignon, Christophe & Smith, Daniel R., 2010. "Diversification and Value-at-Risk," Journal of Banking & Finance, Elsevier, vol. 34(1), pages 55-66, January.
  5. Smith Daniel R, 2009. "Asymmetry in Stochastic Volatility Models: Threshold or Correlation?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 13(3), pages 1-36, May.
  6. Rubin, Amir & Smith, Daniel R., 2009. "Institutional ownership, volatility and dividends," Journal of Banking & Finance, Elsevier, vol. 33(4), pages 627-639, April.
  7. Raymond Kan & Daniel R. Smith, 2008. "The Distribution of the Sample Minimum-Variance Frontier," Management Science, INFORMS, vol. 54(7), pages 1364-1380, July.
  8. Daniel Smith, 2008. "Testing for structural breaks in GARCH models," Applied Financial Economics, Taylor & Francis Journals, vol. 18(10), pages 845-862.
  9. Daniel R. Smith, 2008. "Evaluating Specification Tests for Markov-Switching Time-Series Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(4), pages 629-652, 07.
  10. Smith, Daniel R., 2007. "Conditional coskewness and asset pricing," Journal of Empirical Finance, Elsevier, vol. 14(1), pages 91-119, January.
  11. Perignon, Christophe & Smith, Daniel R., 2007. "Yield-factor volatility models," Journal of Banking & Finance, Elsevier, vol. 31(10), pages 3125-3144, October.
  12. Perignon, Christophe & Smith, Daniel R. & Villa, Christophe, 2007. "Why common factors in international bond returns are not so common," Journal of International Money and Finance, Elsevier, vol. 26(2), pages 284-304, March.
  13. Layton, Allan P. & Smith, Daniel R., 2007. "Business cycle dynamics with duration dependence and leading indicators," Journal of Macroeconomics, Elsevier, vol. 29(4), pages 855-875, December.
  14. Daniel R. Smith & Allan Layton, 2007. "Comparing Probability Forecasts in Markov Regime Switching Business Cycle Models," Journal of Business Cycle Measurement and Analysis, OECD Publishing,CIRET, vol. 2007(1), pages 79-98.
  15. Smith, Daniel R, 2002. "Markov-Switching and Stochastic Volatility Diffusion Models of Short-Term Interest Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(2), pages 183-97, April.

NEP Fields

6 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BAN: Banking (2) 2010-01-30 2010-11-20. Author is listed
  2. NEP-ECM: Econometrics (2) 2007-02-17 2010-01-30. Author is listed
  3. NEP-ETS: Econometric Time Series (1) 2011-05-24
  4. NEP-FIN: Finance (1) 2004-10-30
  5. NEP-FOR: Forecasting (1) 2011-05-24
  6. NEP-MAC: Macroeconomics (1) 2007-02-17
  7. NEP-RMG: Risk Management (3) 2007-02-17 2010-01-30 2010-11-20. Author is listed

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